Bayesian Estimation of Structural Vector Autoregressive Models
![[R logo]](../../../doc/html/Rlogo.svg)
![[Up]](../../../doc/html/left.jpg)
![[Top]](../../../doc/html/up.jpg)
Documentation for package ‘bsvars’ version 2.1.0
Help Pages
| bsvars-package | Bayesian Estimation of Structural Vector Autoregressive Models |
| bsvars | Bayesian Estimation of Structural Vector Autoregressive Models |
| compute_conditional_sd | Computes posterior draws of structural shock conditional standard deviations |
| compute_fitted_values | Computes posterior draws of dependent variables' fitted values |
| compute_historical_decompositions | Computes posterior draws of historical decompositions |
| compute_impulse_responses | Computes posterior draws of impulse responses |
| compute_regime_probabilities | Computes posterior draws of regime probabilities |
| compute_structural_shocks | Computes posterior draws of structural shocks |
| compute_variance_decompositions | Computes posterior draws of the forecast error variance decomposition |
| estimate | Bayesian estimation of Structural Vector Autoregressions via Gibbs sampler |
| estimate.BSVAR | Bayesian estimation of a homoskedastic Structural Vector Autoregression via Gibbs sampler |
| estimate.BSVARMIX | Bayesian estimation of a Structural Vector Autoregression with shocks following a finite mixture of normal components via Gibbs sampler |
| estimate.BSVARMSH | Bayesian estimation of a Structural Vector Autoregression with Markov-switching heteroskedasticity via Gibbs sampler |
| estimate.BSVARSV | Bayesian estimation of a Structural Vector Autoregression with Stochastic Volatility heteroskedasticity via Gibbs sampler |
| estimate.PosteriorBSVAR | Bayesian estimation of a homoskedastic Structural Vector Autoregression via Gibbs sampler |
| estimate.PosteriorBSVARMIX | Bayesian estimation of a Structural Vector Autoregression with shocks following a finite mixture of normal components via Gibbs sampler |
| estimate.PosteriorBSVARMSH | Bayesian estimation of a Structural Vector Autoregression with Markov-switching heteroskedasticity via Gibbs sampler |
| estimate.PosteriorBSVARSV | Bayesian estimation of a Structural Vector Autoregression with Stochastic Volatility heteroskedasticity via Gibbs sampler |
| forecast | Forecasting using Structural Vector Autoregression |
| forecast.PosteriorBSVAR | Forecasting using Structural Vector Autoregression |
| forecast.PosteriorBSVARMIX | Forecasting using Structural Vector Autoregression |
| forecast.PosteriorBSVARMSH | Forecasting using Structural Vector Autoregression |
| forecast.PosteriorBSVARSV | Forecasting using Structural Vector Autoregression |
| normalise_posterior | Waggoner & Zha (2003) row signs normalisation of the posterior draws for matrix B |
| specify_bsvar | R6 Class representing the specification of the homoskedastic BSVAR model |
| specify_bsvar_mix | R6 Class representing the specification of the BSVAR model with a zero-mean mixture of normals model for structural shocks. |
| specify_bsvar_msh | R6 Class representing the specification of the BSVAR model with Markov Switching Heteroskedasticity. |
| specify_bsvar_sv | R6 Class representing the specification of the BSVAR model with Stochastic Volatility heteroskedasticity. |
| specify_data_matrices | R6 Class Representing DataMatricesBSVAR |
| specify_identification_bsvars | R6 Class Representing IdentificationBSVARs |
| specify_posterior_bsvar | R6 Class Representing PosteriorBSVAR |
| specify_posterior_bsvar_mix | R6 Class Representing PosteriorBSVARMIX |
| specify_posterior_bsvar_msh | R6 Class Representing PosteriorBSVARMSH |
| specify_posterior_bsvar_sv | R6 Class Representing PosteriorBSVARSV |
| specify_prior_bsvar | R6 Class Representing PriorBSVAR |
| specify_prior_bsvar_mix | R6 Class Representing PriorBSVARMIX |
| specify_prior_bsvar_msh | R6 Class Representing PriorBSVARMSH |
| specify_prior_bsvar_sv | R6 Class Representing PriorBSVARSV |
| specify_starting_values_bsvar | R6 Class Representing StartingValuesBSVAR |
| specify_starting_values_bsvar_mix | R6 Class Representing StartingValuesBSVARMIX |
| specify_starting_values_bsvar_msh | R6 Class Representing StartingValuesBSVARMSH |
| specify_starting_values_bsvar_sv | R6 Class Representing StartingValuesBSVARSV |
| us_fiscal_ex | A 3-variable system of exogenous variables for the US fiscal model for the period 1948 Q1 - 2023 Q2 |
| us_fiscal_lsuw | A 3-variable US fiscal system for the period 1948 Q1 - 2023 Q2 |
| verify_autoregression | Verifies hypotheses involving autoregressive parameters |
| verify_autoregression.PosteriorBSVAR | Verifies hypotheses involving autoregressive parameters |
| verify_autoregression.PosteriorBSVARMIX | Verifies hypotheses involving autoregressive parameters |
| verify_autoregression.PosteriorBSVARMSH | Verifies hypotheses involving autoregressive parameters |
| verify_autoregression.PosteriorBSVARSV | Verifies hypotheses involving autoregressive parameters |
| verify_volatility | Verifies heteroskedasticity of structural shocks equation by equation |
| verify_volatility.PosteriorBSVAR | Verifies heteroskedasticity of structural shocks equation by equation |
| verify_volatility.PosteriorBSVARMIX | Verifies heteroskedasticity of structural shocks equation by equation |
| verify_volatility.PosteriorBSVARMSH | Verifies heteroskedasticity of structural shocks equation by equation |
| verify_volatility.PosteriorBSVARSV | Verifies heteroskedasticity of structural shocks equation by equation |